PDT vs SPY: Correlation
How closely do John Hancock Premium Dividend Fund (PDT) and SPDR S&P 500 ETF Trust (SPY) trade together? Their weekly returns over three years give a correlation of 0.47, which is moderate.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are PDT and SPY?
On 3 years of weekly data the PDT/SPY correlation comes out at 0.47, moderate. The link has loosened recently: the 1-year correlation (0.34) runs below the 3-year figure (0.47). The 5-year figure is 0.55, and annualized covariance runs at 107.9 %².
Within PDT's tracked universe of 12 assets, SPY comes in at #7 by 3-year correlation. Their recent paths diverged sharply: over the last 12 months SPY outperformed by 19.3 percentage points (+1.3% for PDT against +20.6% for SPY).
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
PDT vs SPY: side by side
| PDT (John Hancock Premium Dividend Fund) | SPY (SPDR S&P 500 ETF Trust) | |
|---|---|---|
| 1-year return | +1.3% | +20.6% |
| 5-year return | +12.6% | +82.4% |
| Volatility (ann.) | 15.8% | 14.5% |
| Beta vs S&P 500 | 0.52 | 1.00 |
| Max drawdown (3Y) | -11.8% | -18.8% |
| Market cap | – | – |
| P/E (trailing) | 4.9 | – |
| Dividend yield | 7.83% | 1.01% |
| Expense ratio | – | 0.09% |
| Assets under management | – | $795.3B |
| Sector / category | US Listed | ETF · US Large Cap |
SPY is a Large Blend fund from State Street Investment Management: $795.3B under management, 504 holdings, a 0.09% expense ratio, a 1.01% trailing dividend yield.
Year-by-year returns
| Year | PDT | SPY |
|---|---|---|
| 2022 | -16.3% | -18.2% |
| 2023 | -9.5% | +26.2% |
| 2024 | +30.0% | +24.9% |
| 2025 | +7.7% | +17.7% |
| 2026 | +4.5% | +13.7% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are PDT and SPY good diversifiers for each other?
Reasonably. At 0.47, PDT and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
FAQ
What is the correlation between PDT and SPY?
Using weekly returns as of 2026-08-27: 0.47 over 3 years, with 0.34 over the last year and 0.55 over 5 years.
Is SPY a good diversifier for PDT?
Reasonably. At 0.47, PDT and SPY keep a meaningful degree of independence, and combining them has historically reduced portfolio volatility.
What does a correlation of 0.47 mean?
A reading of 0.47 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
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Related comparisons
Hubs: PDT correlations · SPY correlations
